Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis [PDF]
We investigate interlinkages and contagion risks in the Dutch interbank market. Based on several data sources, including survey data, we estimate the exposures in the interbank market at bank level.
Lelyveld, Iman van, Liedorp, Franka
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Uncovering the network structure of non-centrally cleared derivative markets: evidence from large regulatory data. [PDF]
Empir Econ, 2023 Zema SM.
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Pricing of Shanghai stock exchange 50 ETF options based on different volatility models. [PDF]
PLoS One, 2023 Wu Q, Kuang X, Wu B, Xu X.
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The Microstructure of Japanfs Interbank Money Market: Simulating Contagion of Intraday Flow of Funds Using BOJ-NET Payment Data [PDF]
Under a real-time gross settlement (RTGS) system, there is an incentive for system participants to delay making their outgoing payments to facilitate their funding, and this creates the risk of settlement delays spreading throughout the entire system ...
Kei Imakubo, Yutaka Soejima
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Taking Stock of Policies, Regulations, and Initiatives That Leverage Technology to Build Trust: Lessons from Ghana's Financial Sector. [PDF]
Glob Soc Welf, 2023 Ofori-Acquah C, Avortri C, Preko A.
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Do interbank customer relationships exist? And how did they function in the crisis? Learning from Italy [PDF]
Using 11 years of monthly Italian bank-by-bank data, this paper correlates the bilateral amounts and the identity of each interbank borrower and lender with a long list of explanatory variables. The results show that interbank customer relationships, i.e.
Massimiliano Affinito
core
Systemic Risk in a Multilayer Financial Network: A Criticality-Based Perspective. [PDF]
Entropy (Basel)Xi N, Dou Y, Dang Y.
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Will the negative psychological perceptions of investors reduce platform liquidity? Evidence from China's online loans. [PDF]
PLoS One, 2023 Qin Z, Liu T, Yu X, Yang L.
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Interbank contagion at work: evidence from a natural experiment [PDF]
This paper tests financial contagion due to interbank linkages. For identification we exploit an idiosyncratic, sudden shock caused by a large-bank failure in conjunction with detailed data on interbank exposures.
Peydró, José-Luis, Iyer, Rajkamal
core
Alliance-based modeling of interbank lending networks: insights into risk contagion dynamics. [PDF]
PLoS OneJiang Z, Jiang X, Yan H, Xie Y, Yao J.
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